Open AccessMarginal Quantiles for Stationary Processes
Author(s) -
David Veredas,
Yves Dominicy,
Siegfried Hörmann,
Hiroaki Ogata
Publication year - 2012
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2076056
Subject(s) - quantile , econometrics , mathematics , economics , business
We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given
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